Friday, October 29, 2021

Stocks Slightly Lower into Afternoon on Policy-Induced Labor/Product Shortages, Emerging Markets Debt Angst, Dollar Strength, Airline/Energy Sector Weakness

Broad Equity Market Tone:

  • Advance/Decline Line: Around Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 16.5 -.5%
  • Bloomberg Global Risk On/Risk Off Index 3,240.0 -55.0 points
  • Euro/Yen Carry Return Index 135.78 -.74%
  • Emerging Markets Currency Volatility(VXY) 9.1 +.44%
  • S&P 500 Implied Correlation 52.1 -5.0%
  • ISE Sentiment Index 104.0  -29.0 points
  • Total Put/Call .86 +32.3%
  • NYSE Arms 1.30 +39.8%
Credit Investor Angst:
  • North American Investment Grade CDS Index 51.37 +1.1%
  • US Energy High-Yield OAS 354.08 +.55%
  • European Financial Sector CDS Index 58.18 +2.1%
  • Italian/German 10Y Yld Spread 128.0 +9.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 81.02 +1.3%
  • Emerging Market CDS Index 186.18 +2.17%
  • China Corp. High-Yield Bond USD ETF(KHYB) 33.41 -.62%
  • 2-Year Swap Spread 19.25 +2.0 basis points
  • TED Spread 8.5 -.5 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -22.0 +1.25 basis points
  • MBS  5/10 Treasury Spread  64.5 -.5 basis point
  • IHS Markit CMBX BBB- 6 72.25 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 58.10 -.42%
  • 3-Month T-Bill Yield .05% unch.
  • Yield Curve 109.0 +6.0 basis points
  • China Iron Ore Spot 103.0 USD/Metric Tonne -2.9%
  • Citi US Economic Surprise Index -16.1 +3.4 points
  • Citi Eurozone Economic Surprise Index -52.8 +3.2 points
  • Citi Emerging Markets Economic Surprise Index -18.9 -13.8 points
  • 10-Year TIPS Spread 2.56 -5.0 basis points
  • 100.0% chance of no change at Dec. 15th meeting, 92.6% chance of no change at Jan. 26th meeting
US Covid-19:
  • 153 new infections/100K people(last 7 days total) -7/100K people
  • 29% of Jan. 7th, 2021 peak(highest daily avg. new infections) -1.0 percentage points
Overseas Futures:
  • Nikkei 225 Futures: Indicating +82 open in Japan 
  • China A50 Futures: Indicating -47 open in China
  • DAX Futures: Indicating +15 open in Germany
Portfolio:
  • Higher: On gains in my medical/tech sector longs and emerging market shorts
  • Disclosed Trades:  Covered some of my (IWM)/(QQQ) hedges
  • Market Exposure:  Moved to 100% Net Long

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